Portfolio & Risk Analytics

Adaptive Intelligence for a Performance Advantage

Measure performance, risk, style, and characteristics for multiple portfolios, and asset classes with best-in-class, flexible reports and charts. With faster reporting and automated calculations, go from data to decision first. FactSet’s full range of portfolio risk analytics combines all the data and flexibility you need to examine your portfolio across asset classes and strategies.

Portfolio & Risk Analytics

Find your portfolio’s true risk.

Choose the model that matches your investment process with risk models from FactSet’s market-leading risk and quantitative research, leading model providers, or your own custom models. Leverage a non-normal fitted factor distribution framework to capture market risk, liquidity risk, reinvestment risk, and credit risk in the tails of the distribution and better reflect real-world events. Analyze multi-asset class portfolios with a Monte Carlo model for non-linear that reprices all assets in each simulation and offers group- and asset-level decomposition. When it comes to central distribution risk analysis, choose a linear-based model that focuses on benchmark relative analysis and risk hot spots, including a duration times spread approach to corporate bond risk.

Risk Models

Improve your fixed income attribution analysis

Download our eBook, Demystifying Fixed Income Attribution, One Strategy at a Time, to get a variety of fixed income strategies you can use to improve attribution analysis, including core investment grade, high yield, emerging markets, liability-driven investment (LDI), and multi-asset.

Measure risk over time.

Monitor and analyze portfolio risk with forecast horizons from one day to two months, and easily decompose risk at a specific date or investigate changes over time. By leveraging the full generated distribution, you can select the risk measures most relevant to your business, including liquidity risk, Tracking Error, Value at Risk (VaR), or Expected Tail Loss. Compare results among portfolios, identify outliers, and find where risk is concentrated among funds.

Risk Over Time

Decompose absolute & relative risk.

Use factor stress testing and extreme event stress testing to identify vulnerabilities in your portfolios and assess them under a broad array of market environments and historical scenarios. FactSet’s robust market data gives you everything you need to create custom shock and stress tests, with full control over factor, direction, magnitude, and correlation assumptions.

Stress Testing

Create reports that reflect your process.

Examine weights, valuation measures, ratings, and other ratios for your portfolio and benchmarks, and evaluate relative performance using a wide selection of attribution models. Your strategy isn’t one-size-fits-all, and neither is your analysis. FactSet lets you customize exposures reports and use your own groupings for reports and charts for a personalized experience.You can also build financial models and power customized applications with FactSet APIs in our developer portal.

Flexible Reports

Find what’s driving portfolio performance.

Is portfolio performance driven by skill or luck? Understand how management decisions such as security selection, group allocation, and currency tilts affected portfolio performance results. Evaluate relative performance using attribution models designed for equity, fixed income, balanced, risk, top down, and macro-level. Know precisely which securities and groups contributed to or detracted from performance on an absolute or relative basis. Measure how the timing of buys and sells affected value with our decision analysis attribution model.

Performance Drivers

Connect data and analytics across teams.

FactSet enables asset management teams to measure and share portfolio analytics with confidence. Go from holdings-based analysis to top-down style, performance, and ex-post risk analysis to peer group reports without leaving the system. Combine your proprietary holdings with data from FactSet and other sources, including extensive benchmark data and global exchange indices. Ensure your front office is looking at the same approved numbers as your risk and performance teams. Integrate your holdings and transactions with a nightly upload or by connecting your custodian, prime broker, or your firm’s accounting system with FactSet. Our team of data specialists works around the clock to ensure secure, accurate, consistent overnightprocessing of your firm’s portfolio dataacross all asset classes.

Connected Teams

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